Credit Risk, CDOs and Copulas

Pierre Brugière ()
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Pierre Brugière: CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Abstract: We study some correlation models to analyze the risk of Collateralized Debt Obligations (CDOs)

Keywords: Risk Neutral Probability; Girsanov; Copula; Infection Models; Credit Risk; CDOs; Reduced Form Model; Intensity Models; Structural Form Models (search for similar items in EconPapers)
Date: 2017-04-20
New Economics Papers: this item is included in nep-ban
Note: View the original document on HAL open archive server: https://hal.science/cel-01511112v2
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Published in Doctoral. Risque de Credit CDOs CDS, Université Paris Dauphine, France. 2017, pp.89

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:cel-01511112

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